cs_Variance.h

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#include <math.h>
 
class VarianceAggregator {
private:
    // running values
    uint32_t num_recorded_values                           = 0;
    float M2                                               = 0.0f;
    float mean                                             = 0.0f;
 
    // these values are just estimated to be reasonable.
    // reduceCount is called if M2 or num_recorded_values surpass
    // these thresholds.
    static const constexpr float float_precision_threshold = 10e9f;
    static const constexpr int count_precision_threshold   = 10e6;
 
public:
    void addValue(float new_measurement) {
        if (isNumericPrecisionLow()) {
            reduceCount();
        }
 
        float diff_with_old_mean = new_measurement - mean;
 
        num_recorded_values++;
        mean += diff_with_old_mean / num_recorded_values;
 
        float diff_with_new_mean = new_measurement - mean;
 
        M2 += diff_with_old_mean * diff_with_new_mean;
    }
 
    int getCount() const { return num_recorded_values; }
 
    float getMean() const { return mean; }
 
    float getVariance() const { return M2 / (num_recorded_values - 1); }
 
    float getStandardDeviation() const { return sqrt(getVariance()); }
 
    bool isNumericPrecisionLow() const {
        return M2 > float_precision_threshold || num_recorded_values > count_precision_threshold;
    }
 
    void reduceCount() {
        M2 /= (2 + 2 / (num_recorded_values - 2));
        num_recorded_values /= 2;
    }
 
    void reset() {
        num_recorded_values = 0;
        M2                  = 0.0f;
        mean                = 0.0f;
    }
};